Working paper
Cancellation and uncertainty aversion on limit order books
- Abstract:
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This paper models limit order books where each trader is uncertain of the underlying distribution in the asset's value to others. If this uncertainty is rapidly resolved, fleeting limit orders are submitted and quickly cancelled. This enhances liquidity supply, but leaves intact established comparative statics results on spreads. However, risk neutral liquidity suppliers are averse to persistent uncertainty due to concavity in the function describing limit order utility, and spreads widen. Th...
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- Publication status:
- Published
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Authors
Bibliographic Details
- Publisher:
- University of Oxford Publisher's website
- Series:
- Department of Economics Discussion Paper Series
- Publication date:
- 2004-02-01
- Paper number:
- 2004-FE-04
Item Description
- Keywords:
- Pubs id:
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1140827
- Local pid:
- pubs:1140827
- Deposit date:
- 2020-12-14
Terms of use
- Copyright date:
- 2004
- Rights statement:
- Copyright 2004 The Author(s)
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